help with walls when extruding - total beginner
Generally two Steps to get rid of them:


For all "zero-area" faces, A to select all, then W  > Remove Doubles;
For the "zero-thickness" frame on the window (where non-manifold appears), you can select them manually, then X to delete. Or, if there are too many of them and you want a quicker selection, ShiftCtrlAltM to select all non-manifold elements (must be operated in Vertex/Edge Select mode), then on the menu: Select > Select Loop Inner-Region. Then delete the selected faces.




EDIT:

In 2.72 or later version, for the second step above, another convenient way is: 
First, be sure that you using Edge Select mode, then ShiftCtrlAltM, then hit F6, toggle nothing except Boundaries, then switch to Face Select mode while holding Ctrl. Then delete all faces that are selected.